Information or Impulse: The Impact of Trump’s Tweets on Financial Markets

Projekt Start:09/2020
Forscher:Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon
Kategorie: Financial Markets
Finanziert von:SAFE

We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we concentrate on one of the most prominent Twitter users, the 45th President of the United States, Donald J. Trump. We analyze around 1,400 of his tweets related to the US economy and classify them by topic and textual sentiment using machine learning algorithms. We investigate whether the tweets contain relevant information for financial markets, i.e. whether they affect market returns, volatility, and trading volumes. Using high-frequency data, we find that Trump’s tweets are most often a reaction to pre-existing market trends and therefore do not provide material new information that would influence prices or trading. We show that past market information can help predict Trump’s decision to tweet about the economy.

Zugehörige Working Papers

314Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka SimonMarket Impact of Government Communication: The Case of Presidential Tweets2021 Financial Markets Market efficiency, Social media, Twitter, High-frequency event study, Machine learning, ETFs.